Over the last two decades, alternative expected return proxies have been proposed with substantially lower variation than realized returns. This helped to reduce parameter uncertainty and to identify many seemingly robust relations between expected returns and variables of interest, which would...

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...

Kapitalmarktanomalien sind empirische Ergebnisse, die sich scheinbar nicht durch das Capital Asset Pricing Model erklären lassen. Die Dissertation analysiert, ob Anomalien, die in der Vergangenheit auftraten, auch in neuen und unabhängigen Stichproben fortbestehen. Unterschiede in...

Interested in fundamental analysis and inspired by Bartram and Grinblatt (2018 & 2021), we apply linear regression (LR) and tree-based machine learning (ML) methods to estimate monthly peer-implied fair values of European stocks from 21 accounting variables. Comparing LR and ML models, we...

This paper compares the performance of three enhanced momentum strategies proposed in the literature — idiosyncratic momentum, constant volatility-scaled momentum, and dynamic-scaled momentum. Using data for individual stocks from the U.S. and across 48 international countries, we find that...

This paper seeks to uncover the drivers of the idiosyncratic momentum anomaly. We show that: (I) idiosyncratic momentum is a distinct phenomenon that exists next to conventional momentum and is not explained by it; (ii) idiosyncratic momentum is priced in the cross-section of stock returns after...